DBRS Rates CSMC Trust 2012-CIM2 Mortgage Pass-Through Certificates, Series 2012-CIM2

DBRS, Inc. (DBRS) has assigned the following ratings to the Mortgage-Backed Certificates, Series 2012-CIM2 issued by CSMC Trust 2012-CIM2 (the Trust).

-- $ 390.0 million Class A-1 rated at AAA (sf)
-- $ 390.0 million Class A-IO-1* rated at AAA (sf)
-- $ 7.0 million Class B-1 rated at AA (sf)
-- $ 7.2 million Class B-2 rated at ‘A’ (sf)
-- $ 7.7 million Class B-3 rated at BBB (sf)
-- $ 5.7 million Class B-4 rated at BB (sf)

• Denotes interest only class, the class balance represents notional amount.

The AAA (sf) ratings in this transaction reflect the 8.25% of credit enhancement provided by subordination. The AA (sf), “A” (sf), BBB (sf) and BB (sf) ratings reflect 6.60%, 4.90%, 3.10% and 1.75% of credit enhancement respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction.

The ratings on the certificates also reflect the prime quality of the underlying assets and the capabilities of Select Portfolio Servicing, Inc. and PHH Mortgage Corporation as servicers. Wells Fargo Bank, N.A. will serve as master servicer, and U.S. Bank National Association will serve as trustee.

Interest and principal payments collected from the mortgage loans will generally be distributed on the 25th of each month, commencing in July 2012. The transaction employs a shifting interest structure that distributes payments on an IPIP (senior interest, senior principal, subordinate interest and subordinate principal) basis. Prepayments will be allocated to the classes based on a schedule. The Class B certificates receive their share of prepayments subject to certain performance tests on delinquencies and cumulative losses.

Compared to a traditional shifting-interest structure, the transaction employs certain structural enhancements. A subordination floor is introduced to address tail risk and retain credit support. The current structure also eliminates the traditional two-time test that had generally directed a portion of the unscheduled principal away from the senior classes. Finally, In the event of a servicer loan modification, the reimbursement of servicing advances would be reduced only from the principal distribution amount in a reverse order of priority. No reimbursement would result in any reductions in interest distribution amount.

The Trust contains a portfolio of prime residential mortgage loans. Approximately 85.2% of the loans were originated by MetLife Home Loans and the rest were acquired by DLJ Mortgage Capital, Inc. through its whole loan flow acquisition channel from Quicken Loans, Inc. (5.8%), PHH Mortgage Corporation (4.3%) and four other originators (4.7%). The loans will be serviced by Select Portfolio Servicing Inc. (95.7%) and PHH Mortgage Corporation (4.3%).

The loans are on average six months seasoned first-lien, fixed rate mortgages secured by one- to four-family residential properties. As of the cut-off date (June 1, 2012), the loans had an aggregate principal balance of approximately $425,091,421, a weighted-average (W.A.) mortgage rate of 4.70%, a W.A. updated FICO score of 758 and a W.A original combined loan-to-value (CLTV) ratio of 70.6% (calculated by DBRS incorporating review results of the third-party due diligence).

Note:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodologies are:
• RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology
• Unified Interest Rate Model for U.S. RMBS Transactions
• Third-Party Due Diligence Criteria for U.S. RMBS Transactions
• Representations and Warranties Criteria for U.S. RMBS Transactions
• Legal Criteria for U.S. Structured Finance Transactions
• Operational Risk Assessment For U.S. RMBS Servicers

The full report providing additional analytical detail is available by clicking here or by contacting us at info@dbrs.com.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking here or by contacting us at info@dbrs.com.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.